Urbanization and ongoing climate change increase the exposure of the populations to heat stress, and the urban heat island (UHI) effect may magnify heat-related mortality, especially during heatwaves. We studied temperature-related mortality in the city of Helsinki—with urban and suburban land uses—and in the surrounding Helsinki-Uusimaa hospital district (HUS-H, excluding Helsinki)—with more rural types of land uses—in southern Finland for two decades, 2000–2018. Dependence of the risk of daily all-cause deaths (all-age and 75+ years) on daily mean temperature was modelled using the distributed lag nonlinear model (DLNM). The modelled relationships were applied in assessing deaths attributable to four intensive heatwaves during the study period. The results showed that the heat-related mortality risk was substantially higher in Helsinki than in HUS-H, and the mortality rates attributable to four intensive heatwaves (2003, 2010, 2014 and 2018) were about 2.5 times higher in Helsinki than in HUS-H. Among the elderly, heat-related risks were also higher in Helsinki, while cold-related risks were higher in the surrounding region. The temperature ranges recorded in the fairly coarse resolution gridded datasets were not distinctly different in the two considered regions. It is therefore probable that the modelling underestimated the actual exposure to the heat stress in Helsinki. We also studied the modifying, short-term impact of air quality on the modelled temperature-mortality association in Helsinki; this effect was found to be small. We discuss a need for higher resolution data and modelling the UHI effect, and regional differences in vulnerability to thermal stress.